The Pricing Of Currency Swap And Exchange Rate Risk Management Under Stochastic Interest Rates Dual Currency Model

The Bretton Woods System,established in mid-20 th century,was based on precious metal-gold,and U.S.dollar is used as the currency of international trade.Its establishment aimed to guarantee the international financial order and ensure the stable and rapid development of economic trade.At the same time,it can maintain a fixed exchange rate for all members in the financial organization to conduct trade activities.With the increasing economic and trade activities between countries,random exchange rate fluctuations have become more and more intense after the invalidation of the Bretton Woods System.recently,economic and trade activities that have been organized between countries are becoming more and more frequent,and more risks to financial transactions for both parties to the transaction are posed by random fluctuations in exchange rates.In order to create a good situation for economic and trade activities,and to effectively avoid the risks caused by random fluctuations in exchange rates,currency and interest rate swap contracts emerged at the historic moment and it had demonstrated their unique superiority in economic activities.This thesis applies zero-coupon bonds and interest rate stochastics,The Dual(Triple)Currency model under the original random interest rate priced forward exchange contracts,currency swaps in the Dual(Triple)Currency Model,and pricing of interest rate swaps in the Dual(Triple)Currency Model.Based on the conclusions on currency swaps and interest rate swap pricing,they have been developed.